A meta level one: It wasn't Sega or Archie that pushed the idea of the crossover, though Ian had an outline for some time, it was Capcom, specifically, Capcom USA. They felt bad for the shoddy treatment the Mega Man series has gotten from Capcom of Japan ever since the cancellation of Mega Man Legends 3, but lacking the means to make their own games, contacted Sega and Archie to get the ball rolling.
In Sonic the Hedgehog #248, Roll is able to convince the normally stoic Blues, who constantly keeps Dr. Light, his creator, at arms length, to go off with her for repairs.
Roll: You're hurt!
Proto Man: It's nothing! I'll be fine! I just need some time!
Roll:Or you let me repair and refuel you here. Just me, okay? Promise. It saves you time you could be spending helping our brother.
Rouge infiltrates another dimension, hacks into and steals vital intel on the Doctors' plans from the Skull-Egg Fortress, plots against and sabotages parts of said fortress with Dr. Light's help... all to find and rescue her teammate, Shadow.
Shadow saving Dr. Light from falling to his death.
Sonic and Mega Man working together, full stop.
After Eggman and Metal Sonic try to kill Dr. Light, Wily flips out on them. Turns out he has standards and he still seems to regard Light well even after all this. Not only that but he explicitly states in his monologue in part 11 that the reason he's gonna betray Eggman is because he genuinely feels that Eggman is too dangerous of a person to be allowed to run loose. That's right, for the first time in the history of the franchise, Wily is doing something heroic for entirely selfless reasons. He isn't wrong.
Not entirely selfless. If Eggman's as unstable as Wily believes, he's a danger to Wily himself as well.
Ultimately subverted. Dr. Wily has zero issue with the notion of having Eggman have an unfortunate accident once their goal is met, collateral damage in the form of lives doesn't bother him. However, he wants his victory over Dr. Light to be absolute — meaning his rival has to live in his ideal world, not the one the good doctor had been striving for. At the end of the day, he realizes that Eggman will take steps behind his back and against his wishes at will, and will not tolerate it.
There's a single panel in Part 11 where Blues and Dr. Light are back to back fighting off Robot Masters together. Generally more awesome than heartwarming usually, but consider that this is the same Blues who refused to let Dr. Light tend his wounds after a tough battle earlier in the crossover.
Plus, Blues has lent Dr. Light his helmet to go with the buster he built out of a bunch of scrap parts.
A blink-and-you'll-miss-it one: Rock and Dr. Light hug in the last chapter, after each has been forced to helplessly watch the other endure mortal danger. It's half of a panel in the middle of Saving Both Worlds, but it's made of d'awww.
As strange as it sounds, Eggman and Wily's partnership. For a majority of it, they seem less like partners and more like outright friends, even having variant covers for each issue dedicated to how well they work together. Even after they backstab each other to make sure the other's weakness doesn't interfere with their plans, they quickly realize blindly futzing with the sabotages made to each other's controls will get them trounced, and tell each other how to undo their handiwork so they can get the machine running.
Taken further in that, minor squabbles aside, they genuinely bond over their likes and dislikes, without the slightest sign of treachery. Even when Eggman decides to have Dr. Light murdered, he strolls in greeting Wily warmly. He thought he was doing him a legitimate solid when the deed was seemingly done, unfortunately failing to recognize that he interfered with things from the world not his own, which was — aside from directly against Dr. Wily's ultimate aim — against their original accord.